Session cookies require no notice. Only persistent cookies and 3rd party cookies require notice, and there are no features on this site that should require them (besides remembering an affirmative response to the cookie warning). In fact there are no features that should require any cookies, save them for logged in users.
It's mostly an academic issue at this point -- European governments seem to have realised that this law is very poorly written and even the governments seem to have little interest in either following it themselves or having the relevant authorities enforce it.
That said, I think you're mischaracterising what the letter of the law says. It's not session cookies that are exempt, it's (paraphrased, read at your own risk) cookies that are essential for the normal operation of the site. In practice this probably means session cookies for things like logging in or shopping basket contents, but that's coincidental.
